Madrid couldn't find a late winning goal, and defender Ferland Mendy was sent off in added time, leaving coach Ancelotti frustrated.
"In the second half we lacked balance," Ancelotti said in his postmatch news conference. "We gave away counterattacks, crosses. It wasn't a good game. We have to defend better, and above all have more balance on the pitch.
"Today we're not happy. I don't want to give excuses. We just had to do better, with more attitude. But we can learn a lot from this game, it was clear where we had problems."
Madrid won LaLiga last season, finishing 10 points ahead of nearest rivals Barcelona, and have since added star forward Mbappé on a free transfer from Paris Saint-Germain.
Mbappé played the full 90 minutes against Mallorca and had four shots, two of them on target, without being able to score.
Ancelotti praised Mallorca, coached by new manager Jagoba Arrasate, calling the draw "the correct result."
"The defending wasn't good, it was hard for us to win the ball after losing it," Ancelotti said. "That's where we have to improve, when I talk defending, we're talking attitude and collective commitment.
"The team was too open. We have to focus more, as we usually do, with more concentration, be more together. can think it's a problem of the forwards, but when the forwards press, the midfielders don't help and the defenders stay back. It isn't one or the other."
